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  • Search: subject:"Adaptive Metropolis algorithm"
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Adaptive Kalman filter 1 Adaptive Metropolis algorithm 1 Markov chain Monte Carlo 1 Variational Bayes 1
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Haario, Heikki 1 Mbalawata, Isambi S. 1 Särkkä, Simo 1 Vihola, Matti 1
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Computational Statistics & Data Analysis 1
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Adaptive Metropolis algorithm using variational Bayesian adaptive Kalman filter
Mbalawata, Isambi S.; Särkkä, Simo; Vihola, Matti; … - In: Computational Statistics & Data Analysis 83 (2015) C, pp. 101-115
Markov chain Monte Carlo (MCMC) methods are powerful computational tools for analysis of complex statistical problems. However, their computational efficiency is highly dependent on the chosen proposal distribution, which is generally difficult to find. One way to solve this problem is to use...
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